Money Market & Bond Calculations

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table2"> <tr> <td width="780"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table3"> <tr> <td valign="top" align="right" height="198" width="1%"> <p align="left"> <img border="0" src="../images/book_stigum_calc.gif" width="135" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table4"> <tr> <td colspan="3" width="0%"> <p class="book_title">Money Market & Bond Calculations</td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="73, 1, 164, 33"> </map> <img border="0" src="../images_title/stigum22.gif" usemap="#FPMap2" width="205" height="175"></td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" valign="top" height="16" align="left" width="50%"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table5"> <tr> <td width="50%" valign="top"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table6"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="5" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table7"> <tr> <td class="contents_expanded"> <p class="contents_expanded">1. Introduction</p> <p class="contents_expanded">2. The Instruments in Brief</p> <p class="contents_expanded">3. Notation: Conventions Used in this Book</p> <p class="contents_expanded">4. Concepts of Yield</p> <p class="contents_expanded">5. Interest-Payment Conventions and Day-Count Fractions</p> <p class="contents_expanded">6. Discount Paper: Calculations and Applications</p> <p class="contents_expanded">7. Interest-Bearing Paper: Calculations</p> <p class="contents_expanded">8. Discount Paper: Applications</p> <p class="contents_expanded">9. Interest-Bearing Paper: Applications</p> <p class="contents_expanded">10. Bonds; Measures of Yield and Other Basics</p> <p class="contents_expanded">11. The Bond Equation</p> <p class="contents_expanded">12. Carry Calculations: Long and Short Positions</p> <p class="contents_expanded">13. Duration</p> <p class="contents_expanded">14. Convexity</p> <p class="contents_expanded">15. Uses of Duration and Convexity</p> <p class="contents_expanded">16. Covered Interest Arbitrage</p> <p class="contents_expanded">17. Floating-Rate Instruments</p> <p class="contents_expanded">18. Fixed-Income Securities Worldwide: Calculations</td> </tr> </table> </td> </tr> </table> </td> <td width="50%" valign="top" class="body"> <p class="body_compressed">One of the biggest challenges in navigating today's fixed income markets is all the conventions. For day counts, there is Actual/Actual, Actual/365, 30E/360, etc. Depending upon the market, there are three different flavors of 30/360!  There are conventions for converting between prices and yields. There are settlement conventions, conventions for calculating accrued interest and much more.  For anyone who needs to navigate this thicket, Stigum's <i>Money Market & Bond Calculations</i> is a godsend. It details market conventions for fixed income instruments in major markets around the world. It's comprehensive. Instruments covered include corporate bonds, sovereign debt, agency and municipal debt, Fed funds, Repos, Eurodollar futures, FRA's, FRN's, swaps, commercial paper, CD's, options, BA's and medium term notes. There is a tremendous amount of practical information here with discussions of carry, short sales, riding the yield curve, duration & convexity, covered interest arbitrage, etc. There is also an extensive glossary of fixed income terms. </p> <p class="body_compressed">Published in 1996, the book is somewhat dated. It preceded the emergence of the Euro. However, except for Krgin (<a href="../titles/krgin_dragomir_(2002).htm">2002</a>), there is nothing like it.</p> <p align="center" class="body"> </p> </td> </tr> </table> <div align="left"> <table border="0" cellpadding="6" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" bgcolor="#FFFFCC" id="table8"> <tr> <td width="100%"> <p class="body" style="margin-bottom: 6"><b><font color="#333366" size="3">For related books, see sections:</font></b></p> <p class="bullet"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_fixed_income.htm">Markets - Fixed Income</a></p> <p class="bullet"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_money_market_fx.htm">Markets - Money Market, FX</a></p> <p class="bullet"><img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/financial_engineering_fixed_income.htm">Financial Engineering - Fixed Income</a></td> </tr> </table> </div> </td> <td>  </td> </tr> </table>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>